Quantitative genetics provides one of the most promising frameworks with which to unify the fields of macroevolution and microevolution. The genetic variance–covariance matrix (G) is crucial to quantitative genetic predictions about macroevolution. In spite of years of study, we still know little about how G evolves. Recent studies have been applying an increasingly phylogenetic perspective and more sophisticated statistical techniques to address G matrix evolution. We propose that a new field, comparative quantitative genetics, has emerged. Here we summarize what is known about several key questions in the field and compare the strengths and weaknesses of the many statistical and conceptual approaches now being employed. Past studies have made it clear that the key question is no longer whether G evolves but rather how fast and in what manner. We highlight the most promising future directions for this emerging field.